Articles by OSM

Corr-correlation

October 9, 2020 | OSM

We recently read two blog posts from Robot Wealth and FOSS Trading on calculating rolling pairwise correlations for the constituents of an S&P 500 sector index. Both posts were very interesting and offered informative ways to solve the problem using different packages in R: tidyverse or xts. We’ll use ...
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Writing conundrums

September 25, 2020 | OSM

We’re taking a break from our portfolio series and million sample simulations to return to a subject that we haven’t discussed of late despite its featured spot in this blog’s name—options. In this post, we’ll look at the buy-write (BXM) and put-write (PUT) indices on ...
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Sequential satisficing

September 18, 2020 | OSM

In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We ...
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Satisficing and optimizing

August 26, 2020 | OSM

In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is choosing the best ...
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I like to MVO it!

July 31, 2020 | OSM

In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a ...
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Weighting on a friend

July 24, 2020 | OSM

Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than ...
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Python-bloggers

July 10, 2020 | OSM

Python-bloggers aggregates blogs focused on using Python’s data analysis super-power for data science, machine learning, and statistics. Brought to you by the same folks that publish the hugely popular R-bloggers, it is well worth a read. Check it o... [...Read more...]

Testing expectations

July 10, 2020 | OSM

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We...
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Quantocracy

July 9, 2020 | OSM

Quantocracy is a great resource for all things related to quantitative and empirical investing. We learn something every time we visit. Expand your knowledge here!
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R-bloggers

July 9, 2020 | OSM

R-bloggers is a great resource. We visit the website almost every day. Shouldn’t you? Have a look https://www.r-bloggers.com/. [...Read more...]
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